Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 19 | 17 | 18 |
| Score | 6.96 | 5.15 | 7.54 |
| Market Cap (Millions USD) | 7024.76 | 6817.25 | 6604.77 |
| Predicted Beta | 0.81 | 0.8 | 0.79 |
| Idiosyncratic Volatility | 0.75 | 0.98 | 0.99 |
Annualized return and volatility
| IUSG | |
|---|---|
| Annualized Return | 0.0501 |
| Annualized Std Dev | 0.1975 |
| Annualized Sharpe (Rf=0%) | 0.2539 |
Row
Daily Return Statistics
| IUSG | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.0915 |
| Quartile 1 | -0.0048 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0059 |
| Maximum | 0.0999 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0124 |
| Skewness | -0.0944 |
| Kurtosis | 6.8751 |
Downside Risk
| IUSG | |
|---|---|
| Semi Deviation | 0.0090 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0137 |
| Downside Deviation (Rf=0%) | 0.0089 |
| Downside Deviation (0%) | 0.0089 |
| Maximum Drawdown | 0.6335 |
| Historical VaR (95%) | -0.0199 |
| Historical ES (95%) | -0.0307 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0305 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-05 | 2009-03-09 | 2013-08-01 | -0.6335 | 3301 | 2178 | 1123 |
| 2018-10-02 | 2018-12-24 | 2019-04-23 | -0.2069 | 141 | 59 | 82 |
| 2015-07-21 | 2016-02-11 | 2016-07-11 | -0.1484 | 250 | 146 | 104 |
| 2018-01-29 | 2018-02-08 | 2018-06-05 | -0.0987 | 90 | 9 | 81 |
| 2014-09-03 | 2014-10-15 | 2014-10-31 | -0.0729 | 43 | 31 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IUSG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | -0.2 | 1.5 | 0.0 | 0.0 | 2.4 | 0.0 | 3.8 |
| 2001 | -1.4 | -2.5 | 0.0 | 1.6 | 0.6 | 0.0 | 1.0 | 0.0 | -0.2 | 1.4 | 0.0 | 0.0 | 0.5 |
| 2002 | -0.7 | 2.2 | -0.5 | 0.2 | 0.0 | -1.5 | -1.3 | 0.0 | 3.2 | 1.9 | 0.0 | 0.0 | 3.4 |
| 2003 | 0.0 | 0.0 | 0.5 | 0.1 | 0.0 | 0.4 | -1.0 | 0.0 | 2.2 | 0.0 | 1.2 | 0.0 | 3.3 |
| 2004 | 0.0 | 0.9 | 0.0 | 0.0 | -0.2 | -1.4 | 0.0 | 1.2 | 1.7 | -0.3 | 1.7 | 0.0 | 3.5 |
| 2005 | 0.5 | 0.5 | -0.7 | 0.0 | 0.9 | 0.2 | 0.1 | -0.8 | 0.0 | 0.3 | 1.3 | 0.0 | 2.4 |
| 2006 | 0.5 | 0.7 | 0.0 | -0.5 | 1.6 | 0.0 | -0.9 | 0.5 | 0.0 | -0.9 | -0.6 | 0.0 | 0.4 |
| 2007 | 0.5 | -0.4 | 0.0 | 0.2 | 0.2 | 0.0 | 0.6 | 0.0 | 1.4 | -2.0 | 0.0 | 0.0 | 0.4 |
| 2008 | 1.5 | 0.0 | 3.1 | 1.9 | 0.0 | 0.3 | -0.7 | 0.0 | -1.2 | 0.0 | -8.1 | 0.0 | -3.5 |
| 2009 | 0.0 | 0.0 | 1.5 | 0.4 | 3.1 | 0.5 | 0.0 | -1.8 | -2.3 | 0.0 | 1.3 | 0.0 | 2.6 |
| 2010 | 1.0 | 1.1 | 0.4 | 0.0 | -1.1 | -0.1 | 0.0 | 2.8 | 0.2 | 0.1 | 2.2 | 0.0 | 6.8 |
| 2011 | 1.6 | -1.6 | 0.4 | 0.0 | -2.2 | 1.4 | -0.5 | -1.2 | 0.0 | -2.5 | 0.0 | 0.0 | -4.6 |
| 2012 | 0.9 | 0.8 | 0.0 | 0.3 | -2.7 | 0.0 | -0.5 | 0.0 | 0.1 | 1.3 | 0.0 | 0.0 | 0.1 |
| 2013 | 0.9 | 0.3 | -0.6 | -0.9 | 0.0 | 1.1 | 1.2 | 0.0 | 1.0 | 0.1 | 0.0 | 0.0 | 3.2 |
| 2014 | 0.0 | 0.0 | 1.1 | 0.2 | 0.0 | 1.0 | -0.2 | 0.0 | -1.5 | 0.0 | -1.1 | 0.0 | -0.5 |
| 2015 | 0.0 | 0.0 | -0.7 | 1.2 | 0.0 | 0.8 | 0.0 | -2.7 | 0.3 | 0.0 | 0.9 | 0.0 | -0.1 |
| 2016 | 0.3 | 2.4 | 0.8 | 0.0 | 0.3 | 0.5 | 0.2 | 0.1 | 0.0 | -0.8 | -0.9 | 0.0 | 2.9 |
| 2017 | 0.2 | 1.3 | 0.0 | 0.4 | 0.6 | 0.0 | 0.1 | 0.1 | 0.0 | 0.0 | -0.3 | 0.0 | 2.4 |
| 2018 | -0.3 | -1.4 | 0.0 | 0.7 | 1.3 | 0.0 | 0.3 | 0.0 | 0.3 | 1.2 | 0.0 | 0.0 | 2.0 |
| 2019 | 0.0 | 0.8 | 1.0 | -0.9 | 0.0 | 0.8 | -0.5 | 0.0 | -1.0 | 0.6 | 0.0 | 0.1 | 0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
